kl.py 31 KB

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  1. # mypy: allow-untyped-defs
  2. import math
  3. import warnings
  4. from collections.abc import Callable
  5. from functools import total_ordering
  6. import torch
  7. from torch import inf, Tensor
  8. from .bernoulli import Bernoulli
  9. from .beta import Beta
  10. from .binomial import Binomial
  11. from .categorical import Categorical
  12. from .cauchy import Cauchy
  13. from .continuous_bernoulli import ContinuousBernoulli
  14. from .dirichlet import Dirichlet
  15. from .distribution import Distribution
  16. from .exp_family import ExponentialFamily
  17. from .exponential import Exponential
  18. from .gamma import Gamma
  19. from .geometric import Geometric
  20. from .gumbel import Gumbel
  21. from .half_normal import HalfNormal
  22. from .independent import Independent
  23. from .laplace import Laplace
  24. from .lowrank_multivariate_normal import (
  25. _batch_lowrank_logdet,
  26. _batch_lowrank_mahalanobis,
  27. LowRankMultivariateNormal,
  28. )
  29. from .multivariate_normal import _batch_mahalanobis, MultivariateNormal
  30. from .normal import Normal
  31. from .one_hot_categorical import OneHotCategorical
  32. from .pareto import Pareto
  33. from .poisson import Poisson
  34. from .transformed_distribution import TransformedDistribution
  35. from .uniform import Uniform
  36. from .utils import _sum_rightmost, euler_constant as _euler_gamma
  37. _KL_REGISTRY: dict[
  38. tuple[type, type], Callable
  39. ] = {} # Source of truth mapping a few general (type, type) pairs to functions.
  40. _KL_MEMOIZE: dict[
  41. tuple[type, type], Callable
  42. ] = {} # Memoized version mapping many specific (type, type) pairs to functions.
  43. __all__ = ["register_kl", "kl_divergence"]
  44. def register_kl(type_p, type_q):
  45. """
  46. Decorator to register a pairwise function with :meth:`kl_divergence`.
  47. Usage::
  48. @register_kl(Normal, Normal)
  49. def kl_normal_normal(p, q):
  50. # insert implementation here
  51. Lookup returns the most specific (type,type) match ordered by subclass. If
  52. the match is ambiguous, a `RuntimeWarning` is raised. For example to
  53. resolve the ambiguous situation::
  54. @register_kl(BaseP, DerivedQ)
  55. def kl_version1(p, q): ...
  56. @register_kl(DerivedP, BaseQ)
  57. def kl_version2(p, q): ...
  58. you should register a third most-specific implementation, e.g.::
  59. register_kl(DerivedP, DerivedQ)(kl_version1) # Break the tie.
  60. Args:
  61. type_p (type): A subclass of :class:`~torch.distributions.Distribution`.
  62. type_q (type): A subclass of :class:`~torch.distributions.Distribution`.
  63. """
  64. if not isinstance(type_p, type) and issubclass(type_p, Distribution):
  65. raise TypeError(
  66. f"Expected type_p to be a Distribution subclass but got {type_p}"
  67. )
  68. if not isinstance(type_q, type) and issubclass(type_q, Distribution):
  69. raise TypeError(
  70. f"Expected type_q to be a Distribution subclass but got {type_q}"
  71. )
  72. def decorator(fun):
  73. _KL_REGISTRY[type_p, type_q] = fun
  74. _KL_MEMOIZE.clear() # reset since lookup order may have changed
  75. return fun
  76. return decorator
  77. @total_ordering
  78. class _Match:
  79. __slots__ = ["types"]
  80. def __init__(self, *types):
  81. self.types = types
  82. def __eq__(self, other):
  83. return self.types == other.types
  84. def __le__(self, other):
  85. for x, y in zip(self.types, other.types):
  86. if not issubclass(x, y):
  87. return False
  88. if x is not y:
  89. break
  90. return True
  91. def _dispatch_kl(type_p, type_q):
  92. """
  93. Find the most specific approximate match, assuming single inheritance.
  94. """
  95. matches = [
  96. (super_p, super_q)
  97. for super_p, super_q in _KL_REGISTRY
  98. if issubclass(type_p, super_p) and issubclass(type_q, super_q)
  99. ]
  100. if not matches:
  101. return NotImplemented
  102. # Check that the left- and right- lexicographic orders agree.
  103. # mypy isn't smart enough to know that _Match implements __lt__
  104. # see: https://github.com/python/typing/issues/760#issuecomment-710670503
  105. left_p, left_q = min(_Match(*m) for m in matches).types # type: ignore[type-var]
  106. right_q, right_p = min(_Match(*reversed(m)) for m in matches).types # type: ignore[type-var]
  107. left_fun = _KL_REGISTRY[left_p, left_q]
  108. right_fun = _KL_REGISTRY[right_p, right_q]
  109. if left_fun is not right_fun:
  110. warnings.warn(
  111. f"Ambiguous kl_divergence({type_p.__name__}, {type_q.__name__}). "
  112. f"Please register_kl({left_p.__name__}, {right_q.__name__})",
  113. RuntimeWarning,
  114. stacklevel=2,
  115. )
  116. return left_fun
  117. def _infinite_like(tensor):
  118. """
  119. Helper function for obtaining infinite KL Divergence throughout
  120. """
  121. return torch.full_like(tensor, inf)
  122. def _x_log_x(tensor):
  123. """
  124. Utility function for calculating x log x
  125. """
  126. return torch.special.xlogy(tensor, tensor) # produces correct result for x=0
  127. def _batch_trace_XXT(bmat):
  128. """
  129. Utility function for calculating the trace of XX^{T} with X having arbitrary trailing batch dimensions
  130. """
  131. n = bmat.size(-1)
  132. m = bmat.size(-2)
  133. flat_trace = bmat.reshape(-1, m * n).pow(2).sum(-1)
  134. return flat_trace.reshape(bmat.shape[:-2])
  135. def kl_divergence(p: Distribution, q: Distribution) -> Tensor:
  136. r"""
  137. Compute Kullback-Leibler divergence :math:`KL(p \| q)` between two distributions.
  138. .. math::
  139. KL(p \| q) = \int p(x) \log\frac {p(x)} {q(x)} \,dx
  140. Args:
  141. p (Distribution): A :class:`~torch.distributions.Distribution` object.
  142. q (Distribution): A :class:`~torch.distributions.Distribution` object.
  143. Returns:
  144. Tensor: A batch of KL divergences of shape `batch_shape`.
  145. Raises:
  146. NotImplementedError: If the distribution types have not been registered via
  147. :meth:`register_kl`.
  148. """
  149. try:
  150. fun = _KL_MEMOIZE[type(p), type(q)]
  151. except KeyError:
  152. fun = _dispatch_kl(type(p), type(q))
  153. _KL_MEMOIZE[type(p), type(q)] = fun
  154. if fun is NotImplemented:
  155. raise NotImplementedError(
  156. f"No KL(p || q) is implemented for p type {p.__class__.__name__} and q type {q.__class__.__name__}"
  157. )
  158. return fun(p, q)
  159. ################################################################################
  160. # KL Divergence Implementations
  161. ################################################################################
  162. # Same distributions
  163. @register_kl(Bernoulli, Bernoulli)
  164. def _kl_bernoulli_bernoulli(p, q):
  165. t1 = p.probs * (
  166. torch.nn.functional.softplus(-q.logits)
  167. - torch.nn.functional.softplus(-p.logits)
  168. )
  169. t1[q.probs == 0] = inf
  170. t1[p.probs == 0] = 0
  171. t2 = (1 - p.probs) * (
  172. torch.nn.functional.softplus(q.logits) - torch.nn.functional.softplus(p.logits)
  173. )
  174. t2[q.probs == 1] = inf
  175. t2[p.probs == 1] = 0
  176. return t1 + t2
  177. @register_kl(Beta, Beta)
  178. def _kl_beta_beta(p, q):
  179. sum_params_p = p.concentration1 + p.concentration0
  180. sum_params_q = q.concentration1 + q.concentration0
  181. t1 = q.concentration1.lgamma() + q.concentration0.lgamma() + (sum_params_p).lgamma()
  182. t2 = p.concentration1.lgamma() + p.concentration0.lgamma() + (sum_params_q).lgamma()
  183. t3 = (p.concentration1 - q.concentration1) * torch.digamma(p.concentration1)
  184. t4 = (p.concentration0 - q.concentration0) * torch.digamma(p.concentration0)
  185. t5 = (sum_params_q - sum_params_p) * torch.digamma(sum_params_p)
  186. return t1 - t2 + t3 + t4 + t5
  187. @register_kl(Binomial, Binomial)
  188. def _kl_binomial_binomial(p, q):
  189. # from https://math.stackexchange.com/questions/2214993/
  190. # kullback-leibler-divergence-for-binomial-distributions-p-and-q
  191. if (p.total_count < q.total_count).any():
  192. raise NotImplementedError(
  193. "KL between Binomials where q.total_count > p.total_count is not implemented"
  194. )
  195. kl = p.total_count * (
  196. p.probs * (p.logits - q.logits) + (-p.probs).log1p() - (-q.probs).log1p()
  197. )
  198. inf_idxs = p.total_count > q.total_count
  199. kl[inf_idxs] = _infinite_like(kl[inf_idxs])
  200. return kl
  201. @register_kl(Categorical, Categorical)
  202. def _kl_categorical_categorical(p, q):
  203. t = p.probs * (p.logits - q.logits)
  204. t[(q.probs == 0).expand_as(t)] = inf
  205. t[(p.probs == 0).expand_as(t)] = 0
  206. return t.sum(-1)
  207. @register_kl(ContinuousBernoulli, ContinuousBernoulli)
  208. def _kl_continuous_bernoulli_continuous_bernoulli(p, q):
  209. t1 = p.mean * (p.logits - q.logits)
  210. t2 = p._cont_bern_log_norm() + torch.log1p(-p.probs)
  211. t3 = -q._cont_bern_log_norm() - torch.log1p(-q.probs)
  212. return t1 + t2 + t3
  213. @register_kl(Dirichlet, Dirichlet)
  214. def _kl_dirichlet_dirichlet(p, q):
  215. # From http://bariskurt.com/kullback-leibler-divergence-between-two-dirichlet-and-beta-distributions/
  216. sum_p_concentration = p.concentration.sum(-1)
  217. sum_q_concentration = q.concentration.sum(-1)
  218. t1 = sum_p_concentration.lgamma() - sum_q_concentration.lgamma()
  219. t2 = (p.concentration.lgamma() - q.concentration.lgamma()).sum(-1)
  220. t3 = p.concentration - q.concentration
  221. t4 = p.concentration.digamma() - sum_p_concentration.digamma().unsqueeze(-1)
  222. return t1 - t2 + (t3 * t4).sum(-1)
  223. @register_kl(Exponential, Exponential)
  224. def _kl_exponential_exponential(p, q):
  225. rate_ratio = q.rate / p.rate
  226. t1 = -rate_ratio.log()
  227. return t1 + rate_ratio - 1
  228. @register_kl(ExponentialFamily, ExponentialFamily)
  229. def _kl_expfamily_expfamily(p, q):
  230. if type(p) is not type(q):
  231. raise NotImplementedError(
  232. "The cross KL-divergence between different exponential families cannot \
  233. be computed using Bregman divergences"
  234. )
  235. p_nparams = [np.detach().requires_grad_() for np in p._natural_params]
  236. q_nparams = q._natural_params
  237. lg_normal = p._log_normalizer(*p_nparams)
  238. gradients = torch.autograd.grad(lg_normal.sum(), p_nparams, create_graph=True)
  239. result = q._log_normalizer(*q_nparams) - lg_normal
  240. for pnp, qnp, g in zip(p_nparams, q_nparams, gradients):
  241. term = (qnp - pnp) * g
  242. result -= _sum_rightmost(term, len(q.event_shape))
  243. return result
  244. @register_kl(Gamma, Gamma)
  245. def _kl_gamma_gamma(p, q):
  246. t1 = q.concentration * (p.rate / q.rate).log()
  247. t2 = torch.lgamma(q.concentration) - torch.lgamma(p.concentration)
  248. t3 = (p.concentration - q.concentration) * torch.digamma(p.concentration)
  249. t4 = (q.rate - p.rate) * (p.concentration / p.rate)
  250. return t1 + t2 + t3 + t4
  251. @register_kl(Gumbel, Gumbel)
  252. def _kl_gumbel_gumbel(p, q):
  253. ct1 = p.scale / q.scale
  254. ct2 = q.loc / q.scale
  255. ct3 = p.loc / q.scale
  256. t1 = -ct1.log() - ct2 + ct3
  257. t2 = ct1 * _euler_gamma
  258. t3 = torch.exp(ct2 + (1 + ct1).lgamma() - ct3)
  259. return t1 + t2 + t3 - (1 + _euler_gamma)
  260. @register_kl(Geometric, Geometric)
  261. def _kl_geometric_geometric(p, q):
  262. return -p.entropy() - torch.log1p(-q.probs) / p.probs - q.logits
  263. @register_kl(HalfNormal, HalfNormal)
  264. def _kl_halfnormal_halfnormal(p, q):
  265. return _kl_normal_normal(p.base_dist, q.base_dist)
  266. @register_kl(Laplace, Laplace)
  267. def _kl_laplace_laplace(p, q):
  268. # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf
  269. scale_ratio = p.scale / q.scale
  270. loc_abs_diff = (p.loc - q.loc).abs()
  271. t1 = -scale_ratio.log()
  272. t2 = loc_abs_diff / q.scale
  273. t3 = scale_ratio * torch.exp(-loc_abs_diff / p.scale)
  274. return t1 + t2 + t3 - 1
  275. @register_kl(LowRankMultivariateNormal, LowRankMultivariateNormal)
  276. def _kl_lowrankmultivariatenormal_lowrankmultivariatenormal(p, q):
  277. if p.event_shape != q.event_shape:
  278. raise ValueError(
  279. "KL-divergence between two Low Rank Multivariate Normals with\
  280. different event shapes cannot be computed"
  281. )
  282. term1 = _batch_lowrank_logdet(
  283. q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q._capacitance_tril
  284. ) - _batch_lowrank_logdet(
  285. p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag, p._capacitance_tril
  286. )
  287. term3 = _batch_lowrank_mahalanobis(
  288. q._unbroadcasted_cov_factor,
  289. q._unbroadcasted_cov_diag,
  290. q.loc - p.loc,
  291. q._capacitance_tril,
  292. )
  293. # Expands term2 according to
  294. # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ (pW @ pW.T + pD)
  295. # = [inv(qD) - A.T @ A] @ (pD + pW @ pW.T)
  296. qWt_qDinv = q._unbroadcasted_cov_factor.mT / q._unbroadcasted_cov_diag.unsqueeze(-2)
  297. A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False)
  298. term21 = (p._unbroadcasted_cov_diag / q._unbroadcasted_cov_diag).sum(-1)
  299. term22 = _batch_trace_XXT(
  300. p._unbroadcasted_cov_factor * q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1)
  301. )
  302. term23 = _batch_trace_XXT(A * p._unbroadcasted_cov_diag.sqrt().unsqueeze(-2))
  303. term24 = _batch_trace_XXT(A.matmul(p._unbroadcasted_cov_factor))
  304. term2 = term21 + term22 - term23 - term24
  305. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  306. @register_kl(MultivariateNormal, LowRankMultivariateNormal)
  307. def _kl_multivariatenormal_lowrankmultivariatenormal(p, q):
  308. if p.event_shape != q.event_shape:
  309. raise ValueError(
  310. "KL-divergence between two (Low Rank) Multivariate Normals with\
  311. different event shapes cannot be computed"
  312. )
  313. term1 = _batch_lowrank_logdet(
  314. q._unbroadcasted_cov_factor, q._unbroadcasted_cov_diag, q._capacitance_tril
  315. ) - 2 * p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1)
  316. term3 = _batch_lowrank_mahalanobis(
  317. q._unbroadcasted_cov_factor,
  318. q._unbroadcasted_cov_diag,
  319. q.loc - p.loc,
  320. q._capacitance_tril,
  321. )
  322. # Expands term2 according to
  323. # inv(qcov) @ pcov = [inv(qD) - inv(qD) @ qW @ inv(qC) @ qW.T @ inv(qD)] @ p_tril @ p_tril.T
  324. # = [inv(qD) - A.T @ A] @ p_tril @ p_tril.T
  325. qWt_qDinv = q._unbroadcasted_cov_factor.mT / q._unbroadcasted_cov_diag.unsqueeze(-2)
  326. A = torch.linalg.solve_triangular(q._capacitance_tril, qWt_qDinv, upper=False)
  327. term21 = _batch_trace_XXT(
  328. p._unbroadcasted_scale_tril * q._unbroadcasted_cov_diag.rsqrt().unsqueeze(-1)
  329. )
  330. term22 = _batch_trace_XXT(A.matmul(p._unbroadcasted_scale_tril))
  331. term2 = term21 - term22
  332. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  333. @register_kl(LowRankMultivariateNormal, MultivariateNormal)
  334. def _kl_lowrankmultivariatenormal_multivariatenormal(p, q):
  335. if p.event_shape != q.event_shape:
  336. raise ValueError(
  337. "KL-divergence between two (Low Rank) Multivariate Normals with\
  338. different event shapes cannot be computed"
  339. )
  340. term1 = 2 * q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(
  341. -1
  342. ) - _batch_lowrank_logdet(
  343. p._unbroadcasted_cov_factor, p._unbroadcasted_cov_diag, p._capacitance_tril
  344. )
  345. term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc))
  346. # Expands term2 according to
  347. # inv(qcov) @ pcov = inv(q_tril @ q_tril.T) @ (pW @ pW.T + pD)
  348. combined_batch_shape = torch._C._infer_size(
  349. q._unbroadcasted_scale_tril.shape[:-2], p._unbroadcasted_cov_factor.shape[:-2]
  350. )
  351. n = p.event_shape[0]
  352. q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  353. p_cov_factor = p._unbroadcasted_cov_factor.expand(
  354. combined_batch_shape + (n, p.cov_factor.size(-1))
  355. )
  356. p_cov_diag = torch.diag_embed(p._unbroadcasted_cov_diag.sqrt()).expand(
  357. combined_batch_shape + (n, n)
  358. )
  359. term21 = _batch_trace_XXT(
  360. torch.linalg.solve_triangular(q_scale_tril, p_cov_factor, upper=False)
  361. )
  362. term22 = _batch_trace_XXT(
  363. torch.linalg.solve_triangular(q_scale_tril, p_cov_diag, upper=False)
  364. )
  365. term2 = term21 + term22
  366. return 0.5 * (term1 + term2 + term3 - p.event_shape[0])
  367. @register_kl(MultivariateNormal, MultivariateNormal)
  368. def _kl_multivariatenormal_multivariatenormal(p, q):
  369. # From https://en.wikipedia.org/wiki/Multivariate_normal_distribution#Kullback%E2%80%93Leibler_divergence
  370. if p.event_shape != q.event_shape:
  371. raise ValueError(
  372. "KL-divergence between two Multivariate Normals with\
  373. different event shapes cannot be computed"
  374. )
  375. half_term1 = q._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(
  376. -1
  377. ) - p._unbroadcasted_scale_tril.diagonal(dim1=-2, dim2=-1).log().sum(-1)
  378. combined_batch_shape = torch._C._infer_size(
  379. q._unbroadcasted_scale_tril.shape[:-2], p._unbroadcasted_scale_tril.shape[:-2]
  380. )
  381. n = p.event_shape[0]
  382. q_scale_tril = q._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  383. p_scale_tril = p._unbroadcasted_scale_tril.expand(combined_batch_shape + (n, n))
  384. term2 = _batch_trace_XXT(
  385. torch.linalg.solve_triangular(q_scale_tril, p_scale_tril, upper=False)
  386. )
  387. term3 = _batch_mahalanobis(q._unbroadcasted_scale_tril, (q.loc - p.loc))
  388. return half_term1 + 0.5 * (term2 + term3 - n)
  389. @register_kl(Normal, Normal)
  390. def _kl_normal_normal(p, q):
  391. var_ratio = (p.scale / q.scale).pow(2)
  392. t1 = ((p.loc - q.loc) / q.scale).pow(2)
  393. return 0.5 * (var_ratio + t1 - 1 - var_ratio.log())
  394. @register_kl(OneHotCategorical, OneHotCategorical)
  395. def _kl_onehotcategorical_onehotcategorical(p, q):
  396. return _kl_categorical_categorical(p._categorical, q._categorical)
  397. @register_kl(Pareto, Pareto)
  398. def _kl_pareto_pareto(p, q):
  399. # From http://www.mast.queensu.ca/~communications/Papers/gil-msc11.pdf
  400. scale_ratio = p.scale / q.scale
  401. alpha_ratio = q.alpha / p.alpha
  402. t1 = q.alpha * scale_ratio.log()
  403. t2 = -alpha_ratio.log()
  404. result = t1 + t2 + alpha_ratio - 1
  405. result[p.support.lower_bound < q.support.lower_bound] = inf
  406. return result
  407. @register_kl(Poisson, Poisson)
  408. def _kl_poisson_poisson(p, q):
  409. return p.rate * (p.rate.log() - q.rate.log()) - (p.rate - q.rate)
  410. @register_kl(TransformedDistribution, TransformedDistribution)
  411. def _kl_transformed_transformed(p, q):
  412. if p.transforms != q.transforms:
  413. raise NotImplementedError
  414. if p.event_shape != q.event_shape:
  415. raise NotImplementedError
  416. return kl_divergence(p.base_dist, q.base_dist)
  417. @register_kl(Uniform, Uniform)
  418. def _kl_uniform_uniform(p, q):
  419. result = ((q.high - q.low) / (p.high - p.low)).log()
  420. result[(q.low > p.low) | (q.high < p.high)] = inf
  421. return result
  422. # Different distributions
  423. @register_kl(Bernoulli, Poisson)
  424. def _kl_bernoulli_poisson(p, q):
  425. return -p.entropy() - (p.probs * q.rate.log() - q.rate)
  426. @register_kl(Beta, ContinuousBernoulli)
  427. def _kl_beta_continuous_bernoulli(p, q):
  428. return (
  429. -p.entropy()
  430. - p.mean * q.logits
  431. - torch.log1p(-q.probs)
  432. - q._cont_bern_log_norm()
  433. )
  434. @register_kl(Beta, Pareto)
  435. def _kl_beta_infinity(p, q):
  436. return _infinite_like(p.concentration1)
  437. @register_kl(Beta, Exponential)
  438. def _kl_beta_exponential(p, q):
  439. return (
  440. -p.entropy()
  441. - q.rate.log()
  442. + q.rate * (p.concentration1 / (p.concentration1 + p.concentration0))
  443. )
  444. @register_kl(Beta, Gamma)
  445. def _kl_beta_gamma(p, q):
  446. t1 = -p.entropy()
  447. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  448. t3 = (q.concentration - 1) * (
  449. p.concentration1.digamma() - (p.concentration1 + p.concentration0).digamma()
  450. )
  451. t4 = q.rate * p.concentration1 / (p.concentration1 + p.concentration0)
  452. return t1 + t2 - t3 + t4
  453. # TODO: Add Beta-Laplace KL Divergence
  454. @register_kl(Beta, Normal)
  455. def _kl_beta_normal(p, q):
  456. E_beta = p.concentration1 / (p.concentration1 + p.concentration0)
  457. var_normal = q.scale.pow(2)
  458. t1 = -p.entropy()
  459. t2 = 0.5 * (var_normal * 2 * math.pi).log()
  460. t3 = (
  461. E_beta * (1 - E_beta) / (p.concentration1 + p.concentration0 + 1)
  462. + E_beta.pow(2)
  463. ) * 0.5
  464. t4 = q.loc * E_beta
  465. t5 = q.loc.pow(2) * 0.5
  466. return t1 + t2 + (t3 - t4 + t5) / var_normal
  467. @register_kl(Beta, Uniform)
  468. def _kl_beta_uniform(p, q):
  469. result = -p.entropy() + (q.high - q.low).log()
  470. result[(q.low > p.support.lower_bound) | (q.high < p.support.upper_bound)] = inf
  471. return result
  472. # Note that the KL between a ContinuousBernoulli and Beta has no closed form
  473. @register_kl(ContinuousBernoulli, Pareto)
  474. def _kl_continuous_bernoulli_infinity(p, q):
  475. return _infinite_like(p.probs)
  476. @register_kl(ContinuousBernoulli, Exponential)
  477. def _kl_continuous_bernoulli_exponential(p, q):
  478. return -p.entropy() - torch.log(q.rate) + q.rate * p.mean
  479. # Note that the KL between a ContinuousBernoulli and Gamma has no closed form
  480. # TODO: Add ContinuousBernoulli-Laplace KL Divergence
  481. @register_kl(ContinuousBernoulli, Normal)
  482. def _kl_continuous_bernoulli_normal(p, q):
  483. t1 = -p.entropy()
  484. t2 = 0.5 * (math.log(2.0 * math.pi) + torch.square(q.loc / q.scale)) + torch.log(
  485. q.scale
  486. )
  487. t3 = (p.variance + torch.square(p.mean) - 2.0 * q.loc * p.mean) / (
  488. 2.0 * torch.square(q.scale)
  489. )
  490. return t1 + t2 + t3
  491. @register_kl(ContinuousBernoulli, Uniform)
  492. def _kl_continuous_bernoulli_uniform(p, q):
  493. result = -p.entropy() + (q.high - q.low).log()
  494. return torch.where(
  495. torch.max(
  496. torch.ge(q.low, p.support.lower_bound),
  497. torch.le(q.high, p.support.upper_bound),
  498. ),
  499. torch.ones_like(result) * inf,
  500. result,
  501. )
  502. @register_kl(Exponential, Beta)
  503. @register_kl(Exponential, ContinuousBernoulli)
  504. @register_kl(Exponential, Pareto)
  505. @register_kl(Exponential, Uniform)
  506. def _kl_exponential_infinity(p, q):
  507. return _infinite_like(p.rate)
  508. @register_kl(Exponential, Gamma)
  509. def _kl_exponential_gamma(p, q):
  510. ratio = q.rate / p.rate
  511. t1 = -q.concentration * torch.log(ratio)
  512. return (
  513. t1
  514. + ratio
  515. + q.concentration.lgamma()
  516. + q.concentration * _euler_gamma
  517. - (1 + _euler_gamma)
  518. )
  519. @register_kl(Exponential, Gumbel)
  520. def _kl_exponential_gumbel(p, q):
  521. scale_rate_prod = p.rate * q.scale
  522. loc_scale_ratio = q.loc / q.scale
  523. t1 = scale_rate_prod.log() - 1
  524. t2 = torch.exp(loc_scale_ratio) * scale_rate_prod / (scale_rate_prod + 1)
  525. t3 = scale_rate_prod.reciprocal()
  526. return t1 - loc_scale_ratio + t2 + t3
  527. # TODO: Add Exponential-Laplace KL Divergence
  528. @register_kl(Exponential, Normal)
  529. def _kl_exponential_normal(p, q):
  530. var_normal = q.scale.pow(2)
  531. rate_sqr = p.rate.pow(2)
  532. t1 = 0.5 * torch.log(rate_sqr * var_normal * 2 * math.pi)
  533. t2 = rate_sqr.reciprocal()
  534. t3 = q.loc / p.rate
  535. t4 = q.loc.pow(2) * 0.5
  536. return t1 - 1 + (t2 - t3 + t4) / var_normal
  537. @register_kl(Gamma, Beta)
  538. @register_kl(Gamma, ContinuousBernoulli)
  539. @register_kl(Gamma, Pareto)
  540. @register_kl(Gamma, Uniform)
  541. def _kl_gamma_infinity(p, q):
  542. return _infinite_like(p.concentration)
  543. @register_kl(Gamma, Exponential)
  544. def _kl_gamma_exponential(p, q):
  545. return -p.entropy() - q.rate.log() + q.rate * p.concentration / p.rate
  546. @register_kl(Gamma, Gumbel)
  547. def _kl_gamma_gumbel(p, q):
  548. beta_scale_prod = p.rate * q.scale
  549. loc_scale_ratio = q.loc / q.scale
  550. t1 = (
  551. (p.concentration - 1) * p.concentration.digamma()
  552. - p.concentration.lgamma()
  553. - p.concentration
  554. )
  555. t2 = beta_scale_prod.log() + p.concentration / beta_scale_prod
  556. t3 = (
  557. torch.exp(loc_scale_ratio)
  558. * (1 + beta_scale_prod.reciprocal()).pow(-p.concentration)
  559. - loc_scale_ratio
  560. )
  561. return t1 + t2 + t3
  562. # TODO: Add Gamma-Laplace KL Divergence
  563. @register_kl(Gamma, Normal)
  564. def _kl_gamma_normal(p, q):
  565. var_normal = q.scale.pow(2)
  566. beta_sqr = p.rate.pow(2)
  567. t1 = (
  568. 0.5 * torch.log(beta_sqr * var_normal * 2 * math.pi)
  569. - p.concentration
  570. - p.concentration.lgamma()
  571. )
  572. t2 = 0.5 * (p.concentration.pow(2) + p.concentration) / beta_sqr
  573. t3 = q.loc * p.concentration / p.rate
  574. t4 = 0.5 * q.loc.pow(2)
  575. return (
  576. t1
  577. + (p.concentration - 1) * p.concentration.digamma()
  578. + (t2 - t3 + t4) / var_normal
  579. )
  580. @register_kl(Gumbel, Beta)
  581. @register_kl(Gumbel, ContinuousBernoulli)
  582. @register_kl(Gumbel, Exponential)
  583. @register_kl(Gumbel, Gamma)
  584. @register_kl(Gumbel, Pareto)
  585. @register_kl(Gumbel, Uniform)
  586. def _kl_gumbel_infinity(p, q):
  587. return _infinite_like(p.loc)
  588. # TODO: Add Gumbel-Laplace KL Divergence
  589. @register_kl(Gumbel, Normal)
  590. def _kl_gumbel_normal(p, q):
  591. param_ratio = p.scale / q.scale
  592. t1 = (param_ratio / math.sqrt(2 * math.pi)).log()
  593. t2 = (math.pi * param_ratio * 0.5).pow(2) / 3
  594. t3 = ((p.loc + p.scale * _euler_gamma - q.loc) / q.scale).pow(2) * 0.5
  595. return -t1 + t2 + t3 - (_euler_gamma + 1)
  596. @register_kl(Laplace, Beta)
  597. @register_kl(Laplace, ContinuousBernoulli)
  598. @register_kl(Laplace, Exponential)
  599. @register_kl(Laplace, Gamma)
  600. @register_kl(Laplace, Pareto)
  601. @register_kl(Laplace, Uniform)
  602. def _kl_laplace_infinity(p, q):
  603. return _infinite_like(p.loc)
  604. @register_kl(Laplace, Normal)
  605. def _kl_laplace_normal(p, q):
  606. var_normal = q.scale.pow(2)
  607. scale_sqr_var_ratio = p.scale.pow(2) / var_normal
  608. t1 = 0.5 * torch.log(2 * scale_sqr_var_ratio / math.pi)
  609. t2 = 0.5 * p.loc.pow(2)
  610. t3 = p.loc * q.loc
  611. t4 = 0.5 * q.loc.pow(2)
  612. return -t1 + scale_sqr_var_ratio + (t2 - t3 + t4) / var_normal - 1
  613. @register_kl(Normal, Beta)
  614. @register_kl(Normal, ContinuousBernoulli)
  615. @register_kl(Normal, Exponential)
  616. @register_kl(Normal, Gamma)
  617. @register_kl(Normal, Pareto)
  618. @register_kl(Normal, Uniform)
  619. def _kl_normal_infinity(p, q):
  620. return _infinite_like(p.loc)
  621. @register_kl(Normal, Gumbel)
  622. def _kl_normal_gumbel(p, q):
  623. mean_scale_ratio = p.loc / q.scale
  624. var_scale_sqr_ratio = (p.scale / q.scale).pow(2)
  625. loc_scale_ratio = q.loc / q.scale
  626. t1 = var_scale_sqr_ratio.log() * 0.5
  627. t2 = mean_scale_ratio - loc_scale_ratio
  628. t3 = torch.exp(-mean_scale_ratio + 0.5 * var_scale_sqr_ratio + loc_scale_ratio)
  629. return -t1 + t2 + t3 - (0.5 * (1 + math.log(2 * math.pi)))
  630. @register_kl(Normal, Laplace)
  631. def _kl_normal_laplace(p, q):
  632. loc_diff = p.loc - q.loc
  633. scale_ratio = p.scale / q.scale
  634. loc_diff_scale_ratio = loc_diff / p.scale
  635. t1 = torch.log(scale_ratio)
  636. t2 = (
  637. math.sqrt(2 / math.pi) * p.scale * torch.exp(-0.5 * loc_diff_scale_ratio.pow(2))
  638. )
  639. t3 = loc_diff * torch.erf(math.sqrt(0.5) * loc_diff_scale_ratio)
  640. return -t1 + (t2 + t3) / q.scale - (0.5 * (1 + math.log(0.5 * math.pi)))
  641. @register_kl(Pareto, Beta)
  642. @register_kl(Pareto, ContinuousBernoulli)
  643. @register_kl(Pareto, Uniform)
  644. def _kl_pareto_infinity(p, q):
  645. return _infinite_like(p.scale)
  646. @register_kl(Pareto, Exponential)
  647. def _kl_pareto_exponential(p, q):
  648. scale_rate_prod = p.scale * q.rate
  649. t1 = (p.alpha / scale_rate_prod).log()
  650. t2 = p.alpha.reciprocal()
  651. t3 = p.alpha * scale_rate_prod / (p.alpha - 1)
  652. result = t1 - t2 + t3 - 1
  653. result[p.alpha <= 1] = inf
  654. return result
  655. @register_kl(Pareto, Gamma)
  656. def _kl_pareto_gamma(p, q):
  657. common_term = p.scale.log() + p.alpha.reciprocal()
  658. t1 = p.alpha.log() - common_term
  659. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  660. t3 = (1 - q.concentration) * common_term
  661. t4 = q.rate * p.alpha * p.scale / (p.alpha - 1)
  662. result = t1 + t2 + t3 + t4 - 1
  663. result[p.alpha <= 1] = inf
  664. return result
  665. # TODO: Add Pareto-Laplace KL Divergence
  666. @register_kl(Pareto, Normal)
  667. def _kl_pareto_normal(p, q):
  668. var_normal = 2 * q.scale.pow(2)
  669. common_term = p.scale / (p.alpha - 1)
  670. t1 = (math.sqrt(2 * math.pi) * q.scale * p.alpha / p.scale).log()
  671. t2 = p.alpha.reciprocal()
  672. t3 = p.alpha * common_term.pow(2) / (p.alpha - 2)
  673. t4 = (p.alpha * common_term - q.loc).pow(2)
  674. result = t1 - t2 + (t3 + t4) / var_normal - 1
  675. result[p.alpha <= 2] = inf
  676. return result
  677. @register_kl(Poisson, Bernoulli)
  678. @register_kl(Poisson, Binomial)
  679. def _kl_poisson_infinity(p, q):
  680. return _infinite_like(p.rate)
  681. @register_kl(Uniform, Beta)
  682. def _kl_uniform_beta(p, q):
  683. common_term = p.high - p.low
  684. t1 = torch.log(common_term)
  685. t2 = (
  686. (q.concentration1 - 1)
  687. * (_x_log_x(p.high) - _x_log_x(p.low) - common_term)
  688. / common_term
  689. )
  690. t3 = (
  691. (q.concentration0 - 1)
  692. * (_x_log_x(1 - p.high) - _x_log_x(1 - p.low) + common_term)
  693. / common_term
  694. )
  695. t4 = (
  696. q.concentration1.lgamma()
  697. + q.concentration0.lgamma()
  698. - (q.concentration1 + q.concentration0).lgamma()
  699. )
  700. result = t3 + t4 - t1 - t2
  701. result[(p.high > q.support.upper_bound) | (p.low < q.support.lower_bound)] = inf
  702. return result
  703. @register_kl(Uniform, ContinuousBernoulli)
  704. def _kl_uniform_continuous_bernoulli(p, q):
  705. result = (
  706. -p.entropy()
  707. - p.mean * q.logits
  708. - torch.log1p(-q.probs)
  709. - q._cont_bern_log_norm()
  710. )
  711. return torch.where(
  712. torch.max(
  713. torch.ge(p.high, q.support.upper_bound),
  714. torch.le(p.low, q.support.lower_bound),
  715. ),
  716. torch.ones_like(result) * inf,
  717. result,
  718. )
  719. @register_kl(Uniform, Exponential)
  720. def _kl_uniform_exponetial(p, q):
  721. result = q.rate * (p.high + p.low) / 2 - ((p.high - p.low) * q.rate).log()
  722. result[p.low < q.support.lower_bound] = inf
  723. return result
  724. @register_kl(Uniform, Gamma)
  725. def _kl_uniform_gamma(p, q):
  726. common_term = p.high - p.low
  727. t1 = common_term.log()
  728. t2 = q.concentration.lgamma() - q.concentration * q.rate.log()
  729. t3 = (
  730. (1 - q.concentration)
  731. * (_x_log_x(p.high) - _x_log_x(p.low) - common_term)
  732. / common_term
  733. )
  734. t4 = q.rate * (p.high + p.low) / 2
  735. result = -t1 + t2 + t3 + t4
  736. result[p.low < q.support.lower_bound] = inf
  737. return result
  738. @register_kl(Uniform, Gumbel)
  739. def _kl_uniform_gumbel(p, q):
  740. common_term = q.scale / (p.high - p.low)
  741. high_loc_diff = (p.high - q.loc) / q.scale
  742. low_loc_diff = (p.low - q.loc) / q.scale
  743. t1 = common_term.log() + 0.5 * (high_loc_diff + low_loc_diff)
  744. t2 = common_term * (torch.exp(-high_loc_diff) - torch.exp(-low_loc_diff))
  745. return t1 - t2
  746. # TODO: Uniform-Laplace KL Divergence
  747. @register_kl(Uniform, Normal)
  748. def _kl_uniform_normal(p, q):
  749. common_term = p.high - p.low
  750. t1 = (math.sqrt(math.pi * 2) * q.scale / common_term).log()
  751. t2 = (common_term).pow(2) / 12
  752. t3 = ((p.high + p.low - 2 * q.loc) / 2).pow(2)
  753. return t1 + 0.5 * (t2 + t3) / q.scale.pow(2)
  754. @register_kl(Uniform, Pareto)
  755. def _kl_uniform_pareto(p, q):
  756. support_uniform = p.high - p.low
  757. t1 = (q.alpha * q.scale.pow(q.alpha) * (support_uniform)).log()
  758. t2 = (_x_log_x(p.high) - _x_log_x(p.low) - support_uniform) / support_uniform
  759. result = t2 * (q.alpha + 1) - t1
  760. result[p.low < q.support.lower_bound] = inf
  761. return result
  762. @register_kl(Independent, Independent)
  763. def _kl_independent_independent(p, q):
  764. if p.reinterpreted_batch_ndims != q.reinterpreted_batch_ndims:
  765. raise NotImplementedError
  766. result = kl_divergence(p.base_dist, q.base_dist)
  767. return _sum_rightmost(result, p.reinterpreted_batch_ndims)
  768. @register_kl(Cauchy, Cauchy)
  769. def _kl_cauchy_cauchy(p, q):
  770. # From https://arxiv.org/abs/1905.10965
  771. t1 = ((p.scale + q.scale).pow(2) + (p.loc - q.loc).pow(2)).log()
  772. t2 = (4 * p.scale * q.scale).log()
  773. return t1 - t2
  774. def _add_kl_info():
  775. """Appends a list of implemented KL functions to the doc for kl_divergence."""
  776. rows = [
  777. "KL divergence is currently implemented for the following distribution pairs:"
  778. ]
  779. for p, q in sorted(
  780. _KL_REGISTRY, key=lambda p_q: (p_q[0].__name__, p_q[1].__name__)
  781. ):
  782. rows.append(
  783. f"* :class:`~torch.distributions.{p.__name__}` and :class:`~torch.distributions.{q.__name__}`"
  784. )
  785. kl_info = "\n\t".join(rows)
  786. if kl_divergence.__doc__:
  787. kl_divergence.__doc__ += kl_info